Correlation Between SMU SA and Parq Arauco
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By analyzing existing cross correlation between SMU SA and Parq Arauco, you can compare the effects of market volatilities on SMU SA and Parq Arauco and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in SMU SA with a short position of Parq Arauco. Check out your portfolio center. Please also check ongoing floating volatility patterns of SMU SA and Parq Arauco.
Diversification Opportunities for SMU SA and Parq Arauco
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SMU and Parq is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding SMU SA and Parq Arauco in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Parq Arauco and SMU SA is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on SMU SA are associated (or correlated) with Parq Arauco. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Parq Arauco has no effect on the direction of SMU SA i.e., SMU SA and Parq Arauco go up and down completely randomly.
Pair Corralation between SMU SA and Parq Arauco
Assuming the 90 days trading horizon SMU SA is expected to generate 3.53 times less return on investment than Parq Arauco. But when comparing it to its historical volatility, SMU SA is 1.52 times less risky than Parq Arauco. It trades about 0.17 of its potential returns per unit of risk. Parq Arauco is currently generating about 0.39 of returns per unit of risk over similar time horizon. If you would invest 158,000 in Parq Arauco on November 28, 2024 and sell it today you would earn a total of 19,000 from holding Parq Arauco or generate 12.03% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SMU SA vs. Parq Arauco
Performance |
| Timeline |
| SMU SA |
Risk-Adjusted Performance
Solid
Weak | Strong |
| Parq Arauco |
SMU SA and Parq Arauco Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SMU SA and Parq Arauco
The main advantage of trading using opposite SMU SA and Parq Arauco positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SMU SA position performs unexpectedly, Parq Arauco can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Parq Arauco will offset losses from the drop in Parq Arauco's long position.The idea behind SMU SA and Parq Arauco pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| Parq Arauco vs. Falabella | Parq Arauco vs. Cencosud | Parq Arauco vs. Ripley Corp | Parq Arauco vs. Empresas Copec SA |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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